Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0801 |
| Annualized Std Dev | 0.1867 |
| Annualized Sharpe (Rf=0%) | 0.4290 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4058.0000 |
| NAs | 1.0000 |
| Minimum | -0.1034 |
| Quartile 1 | -0.0041 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0056 |
| Maximum | 0.1050 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0118 |
| Skewness | -0.2768 |
| Kurtosis | 11.3328 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0086 |
| Gain Deviation | 0.0084 |
| Loss Deviation | 0.0097 |
| Downside Deviation (MAR=210%) | 0.0132 |
| Downside Deviation (Rf=0%) | 0.0084 |
| Downside Deviation (0%) | 0.0084 |
| Maximum Drawdown | 0.5494 |
| Historical VaR (95%) | -0.0173 |
| Historical ES (95%) | -0.0293 |
| Modified VaR (95%) | -0.0172 |
| Modified ES (95%) | -0.0277 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-11 | 2009-03-09 | 2013-03-07 | -0.5494 | 1360 | 354 | 1006 |
| 2020-02-20 | 2020-03-23 | 2020-07-22 | -0.3293 | 107 | 23 | 84 |
| 2018-09-24 | 2018-12-24 | 2019-04-12 | -0.1987 | 139 | 64 | 75 |
| 2015-05-21 | 2016-02-11 | 2016-07-11 | -0.1469 | 287 | 184 | 103 |
| 2020-09-03 | 2020-09-23 | 2020-11-13 | -0.0994 | 51 | 14 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 0.9 | 0.6 | -1.2 | 0 | 0.5 | 0 | 0.1 | 0.7 | 0 | 0.2 | 1.2 | -0.4 | 2.4 |
| 2006 | 0.3 | 0.9 | -0.3 | -0.4 | 1.1 | -0.1 | -0.7 | 0.5 | -0.3 | -0.5 | -0.5 | -0.4 | -0.6 |
| 2007 | 0.5 | -0.5 | -0.2 | 0.2 | 0.5 | 0.2 | 0.7 | 1.7 | 1.4 | -2.3 | 0.7 | -0.4 | 2.5 |
| 2008 | 1.6 | -2.4 | 3.1 | 1.7 | 0.1 | 0.4 | -0.2 | -0.6 | -0.8 | 0.4 | -8.5 | 1.8 | -3.8 |
| 2009 | -2.6 | -1.9 | 1.9 | 0.3 | 3.2 | 0.6 | 0.3 | -2.1 | -1.8 | -2.5 | 1.1 | -0.7 | -4.4 |
| 2010 | 1.3 | 0.9 | 0.6 | -1.5 | -2.1 | -0.3 | 0 | 3 | 0.3 | 0.1 | 2.1 | -0.1 | 4.3 |
| 2011 | 1.3 | -1.5 | 0.2 | -0.1 | -1.2 | 1.5 | -0.9 | -0.6 | -0.2 | -2.3 | 0.1 | -0.3 | -4 |
| 2012 | 1.3 | 0.4 | 0.7 | 0.8 | -2.8 | 2.8 | -0.3 | 0.1 | 0.4 | 1.1 | -0.2 | 1.2 | 5.4 |
| 2013 | 0.9 | 0.2 | -0.6 | -0.7 | -1.3 | 1.1 | 1.6 | -0.3 | 0.6 | -0.3 | 0.2 | 0.3 | 1.7 |
| 2014 | -0.5 | 0.4 | 0.5 | 0.1 | 0.2 | 0.7 | -0.2 | 0.3 | -1.4 | 1.1 | -0.9 | -1.2 | -0.9 |
| 2015 | -1.6 | -0.4 | -0.5 | 1.4 | 0.1 | 0.5 | 0.1 | -2.8 | -0.5 | -0.2 | 0.6 | -0.7 | -4 |
| 2016 | 0.3 | 2.1 | 0.8 | -0.6 | 0.1 | 0.6 | -0.2 | -0.2 | 0.9 | -0.6 | -0.3 | -0.4 | 2.4 |
| 2017 | 0.1 | 1.3 | -0.2 | 0.1 | 0.5 | 0.5 | 0.1 | 0.1 | 0.1 | 0 | -0.2 | -0.3 | 2.2 |
| 2018 | -0.2 | -1.5 | 1.7 | -0.4 | 1.2 | 0.5 | -0.3 | 0.3 | 0.7 | 1.2 | 0.8 | 0.9 | 5.1 |
| 2019 | 0.2 | 0.7 | 1.3 | -0.9 | -1.1 | 0.9 | -1 | 0.2 | -1.4 | 1.1 | -0.4 | 0.3 | -0.3 |
| 2020 | -2 | -0.7 | -4.4 | -2.4 | 0.5 | 0.4 | 0.8 | 0.9 | 0.5 | -0.9 | 0.8 | 0.6 | -5.9 |
| 2021 | 1.7 | 2.5 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-01-28 24.9 SPY 117. 0 0.0056 -0.0324 0.0372 0.0348 0.0648 -0.163 GLD 42.7 0.0016 -0.00120
2 2005-01-31 25.2 SPY 118. 0.0062 0.0138 -0.0245 0.0438 0.0412 0.0562 -0.168 GLD 42.2 -0.011 -0.0129
3 2005-02-01 25.4 SPY 119. 0.0063 0.0174 -0.0162 0.0476 0.0433 0.0506 -0.156 GLD 42.1 -0.0028 -0.0033
4 2005-02-02 25.4 SPY 119. 0.003 0.0174 -0.0086 0.0504 0.0483 0.0588 -0.150 GLD 42.2 0.0014 -0.0124
5 2005-02-03 25.3 SPY 119. -0.0026 0.013 0.0019 0.0346 0.0541 0.0829 -0.124 GLD 41.7 -0.0114 -0.0221
6 2005-02-04 25.5 SPY 120. 0.0107 0.0238 0.0188 0.0316 0.0623 0.101 -0.139 GLD 41.5 -0.005 -0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
